A model-free no-arbitrage price bound for variance options
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Cites work
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Cited in
(20)- The maximum maximum of a martingale with given \(n\) marginals
- Model-independent bounds for option prices -- a mass transport approach
- Arbitrage-free market models for option prices: the multi-strike case
- Optimal transportation under controlled stochastic dynamics
- An arbitrage-free approach to quasi-option value
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- Computational methods for martingale optimal transport problems
- Optimal Skorokhod embedding under finitely many marginal constraints
- On the monotonicity principle of optimal Skorokhod embedding problem
- Perturbation analysis of sub/super hedging problems
- Is the minimum value of an option on variance generated by local volatility?
- Peacock geodesics in Wasserstein space
- Distribution-constrained optimal stopping
- A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
- Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging
- No-arbitrage bounds for the forward smile given marginals
- Arbitrage bounds for prices of weighted variance swaps
- An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint
- The weighted variance minimization for options pricing
- A Benamou-Brenier formulation of martingale optimal transport
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